HR at Credit Suisse
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Credit Suisse - Risk Modeler - Quantitative (2-6 yrs)
- Enterprise Risk APAC intends to outsource - APAC CRO Enterprise Risk Management- function from CS Services AG, Singapore Branch to Credit Suisse Business Analytics.
The team will perform the following tasks:
- Support collation of material risks identified by the annual risk polling exercise.
- Preparation of high-quality presentations for a diverse audience from senior risk management to key support departments
- Identify a complete list of risks, and clearly specify which risks have not been captured in stress tests, and quantify impacts of those risks considered material.
- Prepare Risk Appetite Dashboard and perform Risk analysis (divisional and legal entities level) for the purpose of relevant measures.
- Summarize weekly market commentaries for Risk Management Committee (RMC) report and support consolidation of Group Risk Report.
- Conduct deep-dive analyses and annual review of risk appetite on key APAC legal entities.
- Recalibrate/simplify the Risk Appetite Framework and Statement, ensuring linkage to the short and long term strategic objectives
- Optimize Pre-tax income (PTI) return on economic risk capital (ERC)
Stress testing :
- Review monthly divisional and country stress scenarios results that are used for APAC and key legal entities RMC.
- Understand macro-economic developments and how they impact the APAC portfolio
- Liaise with other risk departments (credit, market, operational) with an aim to provide holistic risk analysis
- Assist in scenario design and stress testing, including the development of prototypes on spreadsheets
- Understand and explain Group stress tests include Group's Severe Flight to Quality (SFTQ) scenarios
- Enhance APAC Division and Legal Entities stress testing capability through inclusion of non-position risks (liquidity, operational, capital, regulatory metrics), develop an additional macro scenario, establish ad-hoc stress testing and build liquidity stress testing (Barometer 2.0/3.0) to capture divisional portfolio nuances
Inflection Point Indicator :
- Develop early warning indicators to monitor our major risks.
Quantitative Degree Candidate ;
- A Ph.D., Master or Bachelor degree in a quantitative discipline (Economics, Mathematics, Engineering, Statistics, Physics, etc.) is preferred.
- Advanced proficiency in one or more programming skills such as R, Python, SQL, Excel, and VBA
- Excellent written skills, ability to compose well-structured model and methodology technical documentation
- Excellent verbal communication and presentation skills, ability to engage in concise, effective discussions
- Comfortable implementing models and carrying out tactical software development to interface with existing technology/modeling infrastructure
One or more experiences in the followings are preferred:
- Quantitative modeling in risk management, econometrics, financial forecasting, and regulatory and economic capitals.
- Stress testing and scenario analysis across key risk types (market risk, credit risk, liquidity, and operational risk)
- Risk limit setting
- Design or implementation of Risk Appetite Frameworks
- Strong product knowledge across a diverse range of products
- Excellent understanding of capital modelings such as regulatory capital, economic risk capital and risk-weighted assets (RWA)
- Dealing with regulators or regulatory issue
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